Aqr Managed Correlations

QMHRX Fund

USD 8.16 0.10 1.21%

The current 90-days correlation between Aqr Managed Futures and Balanced Fund Investor is 0.5 (i.e., Very weak diversification). The correlation of Aqr Managed is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Aqr Managed Correlation With Market

Very weak diversification

The correlation between Aqr Managed Futures and DJI is 0.5 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Aqr Managed Futures. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with AQR Mutual Fund

1.0	QMHIX	Aqr Managed Futures	Pair Corr
1.0	QMHNX	Aqr Managed Futures	Pair Corr
0.99	AQMRX	Aqr Managed Futures	Pair Corr
0.99	AQMNX	Aqr Managed Futures	Pair Corr
0.99	AQMIX	Aqr Managed Futures	Pair Corr
0.72	AQRRX	Aqr Risk Parity	Pair Corr
0.7	AQRNX	Aqr Risk Parity	Pair Corr
0.71	AQRIX	Aqr Risk Parity	Pair Corr
0.83	QNZIX	Aqr Sustainable Long	Pair Corr
0.82	QNZRX	Aqr Sustainable Long	Pair Corr

Related Correlations Analysis

	TWBIX	VOLMX	LANIX	REVAX	USCAX	PRNHX	VISGX
TWBIX		0.77	0.89	0.31	0.81	0.74	0.78	TWBIX
VOLMX	0.77		0.97	0.04	0.9	0.96	0.97	VOLMX
LANIX	0.89	0.97		0.19	0.9	0.91	0.94	LANIX
REVAX	0.31	0.04	0.19		-0.07	-0.1	-0.05	REVAX
USCAX	0.81	0.9	0.9	-0.07		0.94	0.94	USCAX
PRNHX	0.74	0.96	0.91	-0.1	0.94		0.98	PRNHX
VISGX	0.78	0.97	0.94	-0.05	0.94	0.98		VISGX
	TWBIX	VOLMX	LANIX	REVAX	USCAX	PRNHX	VISGX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

VISGX	+ 0.98	PRNHX
LANIX	+ 0.97	VOLMX
VISGX	+ 0.97	VOLMX
PRNHX	+ 0.96	VOLMX
VISGX	+ 0.94	LANIX
PRNHX	+ 0.94	USCAX

High negative correlations

PRNHX	- 0.1	REVAX
USCAX	- 0.07	REVAX
VISGX	- 0.05	REVAX

Risk-Adjusted Indicators

There is a big difference between AQR Mutual Fund performing well and Aqr Managed Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Aqr Managed's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TWBIX	0.36	(0.03)	(0.17)	0.06	0.44	(0.38)	0.77	(0.92)	2.38
VOLMX	0.61	0.00	0.00	0.12	0.59	(0.71)	1.14	(1.35)	4.49
LANIX	0.50	(0.02)	(0.07)	0.09	0.55	(0.55)	0.99	(0.87)	3.06
REVAX	0.87	(0.08)	0.00	(0.11)	0.00	0.00	1.86	(1.99)	6.97
USCAX	0.94	(0.07)	(0.01)	0.07	0.94	(1.11)	2.07	(1.70)	7.45
PRNHX	0.78	0.03	0.04	0.14	1.01	(0.82)	1.80	(1.29)	6.84
VISGX	0.83	0.07	0.09	0.17	0.86	(0.96)	1.78	(1.50)	5.31

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